Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Oct 23 (1D) | Oct 24 (2D) | Oct 27 (5D) | Oct 28 (6D) | Oct 29 (7D) | Oct 30 (8D) | Oct 31 (9D) | Nov 03 (12D) | Nov 04 (13D) | Nov 05 (14D) | Nov 07 (16D) | Nov 14 (23D) | Nov 21 (30D) | Nov 28 (37D) | Dec 05 (44D) | Dec 12 (51D) | Dec 19 (58D) | Dec 26 (65D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 661.299 | 658.606 | 653.262 | 651.875 | 650.599 | 649.411 | 648.296 | 645.278 | 644.359 | 643.474 | 641.794 | 636.62 | 632.19 | 628.253 | 624.674 | 621.37 | 618.286 | 615.383 |
| upper | 674.301 | 676.994 | 682.338 | 683.725 | 685.001 | 686.189 | 687.304 | 690.322 | 691.241 | 692.126 | 693.806 | 698.98 | 703.41 | 707.347 | 710.926 | 714.23 | 717.314 | 720.217 |
| expected move | 6.501 | 9.194 | 14.538 | 15.925 | 17.201 | 18.389 | 19.504 | 22.522 | 23.441 | 24.326 | 26.006 | 31.18 | 35.61 | 39.547 | 43.126 | 46.43 | 49.514 | 52.417 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
